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基金的流动性管理行为受其流动性需求和投资性需求共同决定,而市场流动性能够预期基金未来的流动性需求和投资性需求,据此提出基于市场流动性的动态流动性偏好假说,即当基金经理预期未来市场流动性变差时,将主动持有流动性好的组合或增加持股流动性,以应对未来基金的大量和资产的流动性溢价反转,使用2007年1月至2014年7月之间的中国开放式股票型基金数据作为研究样本对基金的动态流动性偏好假说进行实证研究,结果发现存在基金经理基于市场流动性的动态流动性偏好行为;且基金经理基于市场流动性的动态流动性偏好行为有助于改善其基金业绩。
Abstract：The fund liquidity management is determined by liquidity demand and investment demand,and market liquidity can anticipate the fund liquidity demand and investment demand in the future. Based on the dynamic liquidity preference hypothesis of market liquidity,when the fund manager expects future market liquidity to deteriorate,he( or She) will hold a portfolio of liquidity or increase liquidity actively,to response a reversal in the liquidity premium of fund in the future. Using the Chinese open-ended equity fund data from January 2007 to July 2014,this paper empirically studies the dynamic liquidity preference hypothesis of funds. The results show that a dynamic liquidity preference behavior based on market liquidity of fund management is existed,and the dynamic liquidity preference behavior based on market liquidity of fund management is useful for improving the fund performance.
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(1)本文使用因变量的偏自相关图以及回归模型的AIC和SC准则进行综合判断后选取,如有需要可向作者索取。
基本信息:
中图分类号:F832.51
引用信息:
[1]张浩,黄宇元.开放式股票型基金动态流动性管理研究:基于市场流动性视角[J].金融经济学研究,2017,32(04):105-117.
基金信息:
国家自然科学基金(71603061、71402037);; 教育部人文社科青年基金项目(14YJC790048);; 广东外语外贸大学校级科研项目
2017-08-07
2017-08-07
2017-08-07